Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios

DOI10.1007/s10287-012-0158-yzbMath1296.91257OpenAlexW2021384844MaRDI QIDQ744224

Jun-Ya Gotoh, Akiko Takeda, Yoshinobu Kawahara, Mahesan Niranjan

Publication date: 6 October 2014

Published in: Computational Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s10287-012-0158-y

zbMATH Keywords

regularizationgreedy algorithmportfolio optimizationindex trackingnorm constraintsparse portfolio

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60) Portfolio theory (91G10)

Related Items (18)

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Uses Software

• ElemStatLearn
• foba

Cites Work

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